Market Regime: CAUTIOUS (score +4.1/18). NORMAL.
Trend Quality: SPY Choppiness Index at 59.7 — market is choppy/range-bound. Mean-reversion strategies may have an edge.
Volatility Structure: VIX at 20.0 with Backwardation (Stress) (VIX/VIX3M = 1.000). Term structure is inverted — this typically precedes or confirms a risk-off event. Hedge tail risk.
Macro Context: Mid Cycle phase. Systemic liquidity score: 90/100 (improving). Supportive environment for risk assets.
Sector Rotation (1W RS vs SPY): Leading: Energy (+5.3%), Healthcare (+3.9%), Financials (+2.8%). Lagging: Consumer Staples (-0.6%), Communications (-4.0%), Consumer Disc. (-5.7%).
Defense vs Offense: Defensive sectors (Utilities, Staples, Healthcare) collectively outperforming Cyclicals. This rotation pattern suggests risk-off positioning is gaining traction — consider reducing exposure to high-beta names and adding portfolio hedges.
High-Impact Macro This Week: 🔴 FOMC Rate Decision (Wed Jul 29). Expect elevated intraday volatility on these releases. Size positions accordingly and avoid adding risk 30 min before release.
Risk Budget: Based on VIX 20.0, the expected 1σ weekly move in SPY is ±2.77%. Position sizes should be calibrated so a 2σ adverse move (≈5.55%) does not exceed your daily loss limit.
| Date | Release | Time CT | Impact | Context |
|---|---|---|---|---|
| Wed Jul 29 | 🔴 FOMC Rate Decision | 1:00 PM CT | HIGH | Fed funds rate announcement — expect volatility at 1 PM CT |
| Thu Jul 30 | 🟡 GDP (Advance) | 7:30 AM CT | MODERATE | First look at quarterly GDP — sets growth narrative |
| Fri Jul 31 | 🟡 PCE Deflator | 7:30 AM CT | MODERATE | Fed's preferred inflation gauge — watch for policy signals |
| Asset | Price | 1 Week | 1 Month | YTD |
|---|---|---|---|---|
| SPY S&P 500 |
$738.93 | -0.59% | +0.63% | +3.59% |
| QQQ Nasdaq 100 |
$684.23 | -1.60% | -4.49% | +3.12% |
| IWM Russell 2000 |
$291.17 | -0.98% | -2.59% | +5.31% |
| TLT Long Treasuries |
$83.25 | -1.50% | -4.34% | -2.42% |
| GLD Gold |
$371.90 | +0.95% | +0.66% | -13.49% |
| USO Oil |
$136.69 | +10.27% | +25.05% | +1.46% |
| HYG High Yield Credit |
$79.23 | -0.53% | -0.35% | -0.11% |
| TIP TIPS (Real Rates) |
$107.50 | -0.71% | -0.87% | -1.26% |
| VNQ Real Estate |
$100.81 | +0.79% | +3.72% | +7.30% |
| Sector | RS 1W | RS 1M | RS YTD | Composite |
|---|---|---|---|---|
| XLE Energy |
+3.95% | +9.59% | +2.19% | +5.29% |
| XLV Healthcare |
+1.51% | +3.83% | +10.23% | +3.95% |
| XLF Financials |
+0.68% | +4.72% | +5.48% | +2.85% |
| XLRE Real Estate |
+1.75% | +2.42% | +2.99% | +2.20% |
| XLI Industrials |
+2.40% | -1.42% | +2.56% | +1.28% |
| XLU Utilities |
+3.07% | +0.33% | -2.73% | +1.09% |
| XLK Technology |
+0.75% | -5.34% | +6.08% | -0.01% |
| XLB Materials |
+2.03% | -1.75% | -4.22% | -0.35% |
| XLP Consumer Staples |
-0.66% | -0.40% | -0.71% | -0.59% |
| XLC Communications |
-3.34% | +0.05% | -11.56% | -3.97% |
| XLY Consumer Disc. |
-4.64% | -4.11% | -10.56% | -5.66% |
| Factor | Price | 1 Week | 1 Month | YTD |
|---|---|---|---|---|
| SPMO Momentum |
$146.51 | +1.82% | -8.22% | +11.07% |
| IWF Growth |
$117.65 | -1.45% | -0.38% | -1.86% |
| IWD Value |
$248.24 | +0.08% | +1.57% | +9.38% |
| QUAL Quality |
$216.81 | -0.49% | +1.67% | +4.83% |
| SPLV Low Volatility |
$77.19 | +1.00% | +3.25% | +5.47% |
| IWM Small Cap |
$291.17 | -0.98% | -2.59% | +5.31% |
| MTUM Momentum (Alt) |
$306.39 | +1.42% | -9.70% | +9.25% |